Sonia,

If they're not on the IGI then it usually means
a. They were a "non-conformist" religion
b. They were not on the Isle (In which case you need to search the IGI further - it is on-line at www.familysearch.com - use the "custom search" options.)
c. The Parish Records were incomplete or "lost" somehow (not likely)

Frances Coakley's webpages have details on non-conformist religions, and she may have a better idea

http://www.ee.surrey.ac.uk/Contrib/manx/index.htm